Nobody's really used the GP2X serial port for anything besides Telnet, so while the other stuff mentioned should work in theory (it works on linux pc's), there really aren't any software or instructions specifically made for the GP2X around.
To telnet through the serial port on Windows, download PuTTY, run it, select serial, enter the correct serial port (if your computer has multiple serial ports, if it only has one, enter COM1) and speed (9600bps is the default, it should be good enough), and click Open. You'll need a null modem cable. If your computer doesn't have a serial port, you'll also need a serial to USB adapter.